1. Get RomVault at http://www.romvault.com.2. Unpack the TOSEC dats pack into RomVault/DatRoot.3. Create the DATs folders using the scripts that come with the TOSEC dat pack.4. Move the DATs to their appropriate folders using those other scripts.5. Fire up RomVault and take it from there.

I'm pretty positive there's no way to do this as conveniently in CMP as in RV. There is the batch mode you already mentioned but it will not create the directory structure you need. Might work for flat sets as MESS Softlists and such but with nested folders as in TOSEC it is useless IINM. You will end up with a flat hierarchy of folders each bearing the DAT's set name.

You can actually use CMP to create the right folder structure. Just use the datfiles and move them to their own folders with TOSEC_move.batAfter this in CMP select every dat, right-click and select Batchmode. On the misc-tab are the options for default naming and rompath - set them both to DatFile Folder. Also check "Create rompath for new dat" and set your path.